Analyst I - Capital Markets Risk
This position reports directly to a Director in the Capital Markets Risk Management group. Capital Markets Risk Management is responsible for measuring and monitoring the risk in the Capital Markets balance sheet which includes over $250 billion of mortgage securities and loans.
KEY JOB FUNCTIONS
Measure and monitor the market, liquidity and credit risk in the $250 billion balance sheet of mortgage securities and loans. Produce risk management reports and analytics in order to evaluate risk taking activities against a variety of thresholds and limits.
Interface with the trading and funding desks to monitor balance sheet and hedging activity.
Monitor model performance and recommend enhancements to keep models tied to borrower behavior and developments in the industry.
Evaluate portfolio performance through P&L analysis and attribution.
Keep current with relevant market, industry, and regulatory events and identify emerging risks for senior management.
Maintain an understanding of the overall internal risk management framework including policies and practices governing investments, funding, market risk, liquidity risk, credit risk, and capital.
Review and recommend changes to risk thresholds and limits to ensure appropriate transparency for risk taking activities and to remain within the enterprise’s stated risk appetite.
Coordinate with systems personnel to continually develop the risk modeling and reporting infrastructure. This includes the collection and aggregation of portfolio positions, model assignment, market inputs, pricing, and valuation methods.
Support ongoing ad-hoc analyses on a variety of market and liquidity risk topics relevant to current market and/or industry events.
Ensure documentation used to support the risk management process is current and accurate
- Bachelor's Degree or equivalent required
- 1+ years of related experience
SPECIALIZED KNOWLEDGE & SKILLS
- Strong understanding of fixed income markets and products
- Ability to work with large amounts of data and familiarity with database tools
- Proficiency with using and communicating basic statistical concepts
- Preference for professional designation (CFA or similar) or demonstrated progress towards obtaining
As a condition of employment with Fannie Mae, any successful job applicant will be required to pass a pre-employment drug screen and to successfully complete a background investigation.
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